Duration is the primary measure of interest rate sensitivity — it is the percentage change in price for a 1% change in interest rates. However, practitioners also look at convexity, which is the ...

Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician (CMT). Negative convexity exists when the shape of a bond's yield curve is concave. A ...

In a few recent columns, we’ve talked about duration and convexity in the context of changing market prices. They are some of the most misunderstood and misused terms in finance, and clarifying them ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

An inverted yield curve with a negative butterfly spread of -21 basis points offers an opportunity to bet on a reversion to mean (64 bps). Increasing probability of a recession implied by the yield ...

Convexity is the degree to which small changes in the characteristics of an investment cause large changes in the investment's value. The convexity of an investment is a primary driver of long-term ...

CME Group’s volatility index CVOL, is a suite of implied 30-day forward volatility indices measuring 30-day forward volatility across all option strike prices of key futures markets. Higher convexity ...

It is shown that an L function is unimodal if its Lévy spectral function has support on (-∞, 0] or on [ 0, ∞), and that this implies that every L function is the convolution of at most two unimodal L ...